[Federal Register Volume 77, Number 58 (Monday, March 26, 2012)]
[Notices]
[Pages 17537-17539]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-7204]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66629; File No. SR-ICEEU-2012-05]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of Proposed Rule Change To Amend the ICE Clear Europe CDS 
Procedures, Finance Procedures, and Rules With Respect to the 
Calculation and Payment of Interest on Mark-To-Market Margin on CDS 
Transactions

March 20, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder \2\ notice is hereby given that 
on March 12, 2012, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities

[[Page 17538]]

and Exchange Commission (``Commission'') the proposed rule change as 
described in Items I and II below, which Items have been prepared 
primarily by ICE Clear Europe. The Commission is publishing this notice 
to solicit comments on the proposed rule change from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    ICE Clear Europe proposes rule and CDS procedural amendments that 
are intended to modify the terms of the calculation and payment of 
interest on mark-to-market margin for CDS transactions. The amendments 
would provide further detail for calculation of interest on mark-to-
market margin for CDS at the position level, but would not change the 
overall calculation of that interest. The amendments would also move 
payment of such interest from a monthly to a daily basis.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, ICE Clear Europe included 
statements concerning the purpose of and basis for the proposed rule 
change and discussed any comments it received on the proposed rule 
change. The text of these statements may be examined at the places 
specified in Item IV below. ICE Clear Europe has prepared summaries, 
set forth in sections (A), (B), and (C) below, of the most significant 
aspects of these statements.\3\
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    \3\ The Commission has modified the text of the summaries 
prepared by ICE Clear Europe.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    As noted above, the proposed rule changes consist of operational 
changes to the Rules, CDS Procedures and Finance Procedures ICE Clear 
Europe has consulted with its CDS Risk Committee, which supports the 
proposed amendment.
    ICE Clear Europe submits proposed amendments to its CDS Procedures, 
Finance Procedures and Rules in relation to the calculation and payment 
of interest on the mark-to-market margin for CDS transactions on a 
daily basis. The amendments also clarify, consistent with ICE Clear 
Europe's current practice, mark-to-market margin and variation margin 
may be required to be provided by the clearing member to the clearing 
house or vice versa.
    ICE Clear Europe proposes to update Parts 1 and 3 of its CDS 
Procedures to state more clearly the daily calculation of interest on 
mark-to-market margin for CDS transactions and to provide further 
detail about such calculations. The new definitions of ``Daily 
Aggregate MTM Interest Amount,'' ``Mark-to-Market Interest'' and 
``Mark-to-Market Margin Balance'' and the provisions of Part 3 of the 
CDS Procedures reflect these changes. ``Daily Aggregate MTM Interest 
Amount'' means for any Clearing Member for a currency on any day the 
sum of the Mark-to-Market Margin Balances in such currency for that day 
in respect of that Clearing Member. The Daily Aggregate MTM Interest 
Amount will be determined separately in respect of the Clearing 
Member's Proprietary Account and any relevant customer account. Where 
the Daily Aggregate MTM Interest Amount is positive, it will be owed by 
ICE Clear Europe to the relevant Clearing Member; where it is negative, 
the relevant Clearing Member will owe the absolute value of the Daily 
Aggregate MTM Interest Amount to ICE Clear Europe. ``Mark-to-Market 
Interest'' will mean interest calculated daily in accordance with the 
market convention for the relevant currency by applying the applicable 
overnight rate. ``Mark-to-Market Margin Balance'' will mean the sum of 
all Mark-to-Market Margin delivered up to, but excluding that day, by 
the relevant Clearing Member in respect of such CDS Contract to ICE 
Clear Europe less all Mark-to-Market Margin delivered up to, but 
excluding that day, by ICE Clear Europe in respect of such CDS Contract 
to such Clearing Member, as determined at the close of business on such 
day. Pursuant to the amendments to Section 3.1 of the CDS Procedures 
and 6.11(h)(iv) of the Finance Procedures, interest on Mark-to-Market 
Margin will be payable on a daily, rather than a monthly basis, 
although the interest calculation is substantially unchanged.
    ICE Clear Europe believes that the proposed rule change is 
consistent with the requirements of Section 17A of the Act \4\ and the 
rules and regulations thereunder applicable to ICE Clear Europe because 
it amends rules and procedures which allow ICE Clear Europe to 
effectively manage risk. As such, it assures the safeguarding of 
securities and funds, which are in the custody or control of ICE Clear 
Europe or for which it is responsible.
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    \4\ 15 U.S.C. 78q-1.
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(B) Self-Regulatory Organization's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed rule and procedural 
changes would have any impact, or impose any burden, on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been 
solicited or received. ICE Clear Europe will notify the Commission of 
any written comments received by ICE Clear Europe.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the proposed rule change or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml) or
     Send an email to [email protected]. Please include 
File Number SR-ICEEU-2012-05 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICEEU-2012-05. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/

[[Page 17539]]

rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Section, 100 
F Street NE., Washington, DC 20549, on official business days between 
the hours of 10 a.m. and 3 p.m. Copies of such filings will also be 
available for inspection and copying at the principal office of ICE 
Clear Europe and on ICE Clear Europe's Web site at https://www.theice.com/publicdocs/regulatory_filings/ICE_Clear_Europe_PAI_and_MTMM_Proposed_Changes.pdf.
    All comments received will be posted without change; the Commission 
does not edit personal identifying information from submissions. You 
should submit only information that you wish to make available 
publicly. All submissions should refer to File Number SR-ICEEU-2012-05 
and should be submitted on or before April 16, 2012.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\5\
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    \5\ 17 CFR 200.30-3(a)(12).
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Kevin O'Neill,
Deputy Secretary.
[FR Doc. 2012-7204 Filed 3-23-12; 8:45 am]
BILLING CODE 8011-01-P